Timeline for Diffusion processes in probabilistic modelling
Current License: CC BY-SA 3.0
3 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Aug 22, 2011 at 19:46 | comment | added | The Bridge | Well even if increments exhibit high moments, you can still extend the diffusion framework to so-called stochastic volatility, which is an active area of estimation under the additional constraint of Hidden Markov process. Regards | |
| Aug 22, 2011 at 18:42 | comment | added | Simon Lyons | My personal feeling is that financial time series aren't modelled particularly well by diffusion processes. Increments tend to exhibit high kurtosis, which means they're better described with a Levy-driven SDE rather than a process with locally Gaussian increments. The Markov property can potentially cause problems, too. | |
| Aug 22, 2011 at 18:00 | history | answered | ShawnD | CC BY-SA 3.0 |